a trading strategy based on Elliott Wave Theory - page 263
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I agree that there is "academicism" (in the sense you use the word here) in such an approach, but I'm not sure that it is a priori harmful. After all, such a practical thing as the atomic bomb was derived from quite "academic" things. More specifically, if the statistics is sufficient (say, tens of thousands of trades, although I'm not sure that's enough), then the result near the spread will still be significant. The main thing is to get this result before brokerage companies get it :).
Your approach just allows to build up statistics. But in my opinion, it does not cancel history testing. After all, most currency pairs are highly correlated. There are dollar-others axis, commodity currencies - commodity currencies, maybe some more. And if the market changes in six months, the behaviour of almost all pairs will change.
However, I'll clarify that I meant different spreads in the same brokerage company.
Well in general it makes sense to try to develop a strategy that will be at least unprofitable in any "market changes". And this, as I said in the link above, is only possible if the strategy is based on a basis on which some undisputed things from other fields of knowledge are based. Regression has existed in nature since long before the market began and will continue to exist even when the market ends. If you are trying to create a strategy based only on something that "worked" in the tester since 1999 and nowhere else than MT4, then it is very questionable whether the strategy will continue to work in the future due to supposedly "changing" markets, because the optimization might be a simple fix. Although I personally do not see any problem using the tester just for preliminary strategy evaluations. In my strategy, adequate testing is impossible because I still have not developed clear conditions for exiting a position. If the moment of entering a position is well worked out and described a couple of times above in this thread, then exiting is much more complicated. Today exit is performed manually with some degree of subjectivity when profit is available. Automatic exiting is implemented only by stop loss, which is controlled by the Expert Advisor only. I do not interfere in the Stop Loss moves. I know there are EAs designed for testing strategies manually (MQL4: Visualization of Testing. Manual Trading), but this is not the case, because the timing is changing and this has another effect on subjective decisions about exiting positions. It is one thing when you make a decision in the tester within several seconds, and another thing when you think about the moment of exiting a position for several minutes several times a day, while reading market turbulence and reviewing charts of other currencies.
Well in general it makes sense to try to develop a strategy that is at least unprofitable for all "market changes". And this, as I said in the link above, is only possible if the strategy is based on a foundation on which some undisputed things from other areas of knowledge are based.
That is indisputable. But for me it is also indisputable that the strategy has to adapt, and to such an extent that it might even be better to call it evolution. In general, I sometimes think that the true meaning of forex is to sterilize "excess" money at a given historical moment (that is, to take it away from speculators :). In this case the game of Forex can be compared to a child's New Year's Eve game - when the music stops suddenly there are not enough chairs for everybody. And in this case Forex is not governed by hypothetical "big guys", but by much more fundamental system laws of balance and conservation. Which, in general, are probably stronger than the indisputable things from other fields of knowledge.
In this formulation, the relaxation character of the sought value with time is of interest, and two cases are distinguished:
1. the price has infinite rigidity with respect to its moving average (Wiener process);
2. the price has finite rigidity, i.e. not only the moving average (MA) runs after the price, but the price tends to it;
Suppose that the interaction force of price and MA is described, in general terms, by a power polynomial, then we have to construct a system of equations relating the rigidity factor, distance between price and MA and relaxation nature with coefficients of the power series.
It seems to be possible to solve this problem in the general form and thus the output will contain the direction and the value of the force acting at that moment on the price series. It is more than enough for forecasting.
I like it.
It can be worked on concretely.
It looks like the idea expressed on the spider that the decision is made by equity traders,
Well in general it makes sense to try to develop a strategy that is at least unprofitable in any "change" in the market. And this, as I said in the link above, is only possible if the strategy is based on some uncontested things from other fields of knowledge....
You have to agree that in the end you have to simulate the decision process of many traders.
The phenomenon itself is very specific, and can have its own characteristics that have nothing to do with "unquestionable things in other fields".
The phenomenon itself is very specific, and can have its own characteristics that have nothing to do with "undeniable things in other fields" .
I'm not trying to say "here's a regression, everybody's got it" ;o). I'm simply expressing my view of the subject. Because "it" doesn't only work in Forex, then in connection with the concept of "fair price" (the price of what it's worth in general) it must also work to a greater or lesser extent on the market. I came to this not at once, but after a great deal of "optimizing" in the MT4 tester of strategies conditionally "taken from the ceiling". One of such "strategies" is described at the very beginning of this thread. I spent about half a year on it. Most of them consisted of optimizations - "searching for the absolute maximum" of parameters of an Expert Advisor on the 2-year history of M1 quotes from my broker available at that time, as well as the belief that "I wish I had a more powerful computer and more memory", and I will soon have a stable income without doing anything ;o). So I came to the following conclusion: if you just point your finger at the optimizer when asked where did you get the value of this or that parameter for your strategy and you can't justify the choice of such a parameter, it is very likely that this parameter will only work in the Strategy Tester, even on the history from 1999 year. I, on the other hand, can give a clear and logically justified answer to the question where this or that parameter was taken from. For example, such questions as where to place the moose, where to place the postponer and some other questions have a clear logical answer. Well, online testing directly on the real should give an answer to my error.
I went through this process myself. Came to roughly the same conclusions. Maybe the difference is that as a result I have created a program environment that is convenient to me personally, easy to develop and in general is still capable, I mean with channels, to raise minutes in a few years, simultaneously on several currencies.
So I came to the following conclusion: if you just point your finger at the optimizer when asked where did you get the value of this or that parameter for your strategy and you can't justify the choice of such a parameter, it is very likely that this parameter will only work in the Strategy Tester, even on the history from 1999 year. I, on the other hand, can give a clear and logically justified answer to the question where this or that parameter was taken from.
If that logic suits the bazaar, it will be what it is. Otherwise it's the same testing only at a slightly higher level.
For example, such questions as where to place the moose, where to place the postponer, and some other questions have a clear logical answer.
Well, you don't know where to come out. Then something is missing.
Good luck with that.
Например такие вопросы где ставить лось, где нужно ставить отложник и некоторые другие у меня имеют чёткий обоснованный ответ.
Well, you don't know where to come out. Then something is missing.
I must have been a little unclear about my exit rules in my posts on this page. It's just that I was wording earlier in this thread. The exit is performed not earlier than the price reaches the conditional central regression line and opposite levels in the levels indicator I posted in this thread some time in October of last year. That is, until the price reaches the overheated zone according to these provisions, we keep our positions. As soon as the price reaches that zone, i.e. crosses to the other side of the conditional "fair price" and enters the overheated zone according to the level indicator, I consider that the conditions for exiting the position have been created. And as soon as some "freezing" of the movement happens, I close my positions at that moment. That is, in other words, opening a position a few days ago, the expert cannot say where I will close and when it will happen (the next day or in a couple of weeks, for example, because Renco-division is not interested in time - I am interested in achieving levels). At the time of closing several days later other channels will appear, which were not present at the time of opening the set, and I will make decisions by them. In general, I have only this verbal description of profit closing method, that I have not implemented in the code yet, because I am estimating its rationality. Until then it took me a couple of months to formalize the definition of the lot setting and possible actions of the Expert Advisor in its area, for example, whether it is necessary to open a reversal at the lot and some more variants. As for automatic exit points, I have long had the idea to automatically close profitable positions at appearance of an opposite pending order (or when it triggers). This idea is what I am testing now. I am not sure about it yet, but I think it will finish. I will just program automatic closing of profitable positions in my Expert Advisor at the moment of occurrence of a reversed pending order. This may take some of the effort of manual closing of trades. Now I'm just waiting for a set of statistics.
Candid, а мандельброта не читали?
он пишет, что ошибался насчет 1/f шума.. (с кем не бывет...)
No I haven't. Can you quote me or give me a link to the text? It is important what exactly he considers a mistake. By the way, I note that further on in that quote it said that frequencies should be logarithmically equidistant. I haven't quoted its sequel not because of laziness or love to brevity :). The analogy is an analogy, but one should not identify the market with 1/f-noise beforehand.
The first thing I got from Yandex:
http://lib.irismedia.org/sait/forex-kiev/multi_fr.html
I don't know anything about noise. I started studying mathematics on a tip from solandr a couple of months ago.
I find almost all approaches identical in essence, but I have neglected any noise theory - as far as the name suggests, it hardly includes tools to analyse the state of the system at a particular point.
but judging by the reviews on amazon of his latest book, (The Misbehavior of Markets)
hasn't been able to offer anything complete yet.
good point... you're convinced... perhaps the book "(Mis)behaviours of Markets" deserves attention after all...
I looked at it again... I've come to the conclusion that Peters' book is speculation in fancy terms...
I guess it's only considered satisfactory by those who haven't seen anything better...
Scientists versed in the subject write much more clearly and informatively.
Prigogine's "Order out of Chaos"...
Schroeder, "Fractals, Chaos, Gradual Laws".
if you need more technical - Kuznetsov "Dynamic Chaos"
(about 150 books I downloaded and leafed through, while the fact is that you can do without them - the Law is very simple, but you have to develop your brain to understand it ... We live, so we unconsciously use it).